Overall Statistics
Total Orders
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
9.626%
Drawdown
7.800%
Expectancy
0
Start Equity
1000000
End Equity
1095611.18
Net Profit
9.561%
Sharpe Ratio
0.505
Sortino Ratio
0.657
Probabilistic Sharpe Ratio
32.727%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.111
Beta
1.266
Annual Standard Deviation
0.111
Annual Variance
0.012
Information Ratio
-0.877
Tracking Error
0.087
Treynor Ratio
0.044
Total Fees
$113.45
Estimated Strategy Capacity
$29000000.00
Lowest Capacity Asset
MWD R735QTJ8XC9X
Portfolio Turnover
0.28%
 
import numpy as np
from AlgorithmImports import *

class SharpeRatioBacktest(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2017, 1, 1)
        self.set_end_date(2018, 1, 1)
        self.set_cash(1_000_000)
        
        self.symbols = ["MS", "XOM"]
        for symbol in self.symbols:
            self.add_equity(symbol, Resolution.DAILY)
        
        self.weights = {"MS": 0.5, "XOM": 0.5}

    def on_data(self, data):
        if not self.portfolio[self.symbols[0]].invested:
            for symbol, weight in self.weights.items():
                self.set_holdings(symbol, weight)